Description:

A fully revised guide to fixed income securities that reflects current market conditionsThe Second Edition of Bond Evaluation, Selection, and Management combines fundamental and advanced topics in the field, offering comprehensive coverage of bond and debt management.This fully updated and revised edition provides you with the basics needed to understand various strategies, and explanations of cutting edge advanced topics. Focusing on essential concepts, models, and numerical examples, this book will help you quickly become familiar with the tools needed to effectively select, evaluate, and manage bonds. Covers both the fundamental and advanced topics in the field, including debt securities, bonds with embedded options, asset-backed securities, and bond derivatives Reinforces important concepts through review questions, web exercises, and practice problems in each chapter Reviews the history of the credit markets from the 1980s to the present with a retrospective look at the 2008 financial crisis Contains "Interview Boxes" consisting of questions and answers with distinguished fixed-income portfolio managers, traders, analysts, and academiciansFilled with in-depth insights and practical advice, this reliable resource offers a solid foundation in understanding the complexities of evaluating and selecting bonds and other fixed income securities.

Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options

Introduction

Binomial Interest Rate Model

Valuing Bonds with Other Option Features

Convertible Bond

Valuing Mortgage-Backed Securities

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Estimating the Binomial Tree

Introduction

Subdividing the Binomial Tree

Estimating the Binomial Tree

U and D Estimation Approach

CALIBRATION MODEL

Option-Adjusted Spread

Duration and Convexity

A Note on the Black-Scholes Option Pricing Model

Conclusion

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Debt Derivatives: Futures and Options

Futures Contracts on Debt Securities: Fundamentals

Introduction

The Market and Characteristics of Futures on Debt Securities

The Nature of Futures Trading and the Role of the Clearinghouse and Margins

Futures Hedging

Futures Pricing

Conclusion

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Interest Rate Option Contracts: Fundamentals

Introduction

Option Terminology

Markets and Types of Interest Rate Options

OPTION POSITIONS

Option Trading - Microstructure

Option Price Relationships

Conclusion

Key Terms

Problems and Questions with Solutions

Web Exercises

Notes

Selected References

Managing Fixed-Income Positions with Interest-Rate Derivatives

Introduction

Hedging Fixed-Income Positions

Cross Hedging

Speculating with Interest Rate Derivatives

Synthetic Debt and Investment Positions

Using Options to Set a Cap or Floor on a Cash Flow

Conclusion

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Managing Fixed-Income Positions with OTC Derivatives

Introduction

Hedging with OTC Derivatives

Hedging a Series of Cash Flows - OTC Caps and Floors

Financing Caps and Floors: Collars and Corridors

Other Interest Rate Products

Hedging Currency Positions with Foreign Currency Options

Conclusion

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Swaps

Interest Rate Swaps

Introduction

Generic Interest Rate Swaps

Similarities between Swaps and Bond Positions and Eurodollar Futures Strips

Swap Market

Swap Valuation

Comparative Advantage and the Hidden Option

Swaps Applications

Credit Risk

Conclusion

Key Terms

Problems and Exercises

Web Exercises

Notes

Selected References

Swap Derivatives: Forward Swaps and Swaptions

Introduction

Forward Swaps

Swaptions

Hedging

Cancelable and Extendable Swaps

Non-Generic Swaps

Conclusion

Key Terms

Problems and Exercises

Notes

Selected References

Currency and Credit Default Swaps

Introduction

Currency Swaps

Credit Default Swaps

Conclusion

Key Terms

Problems and Questions

Web Exercises

Notes

Selected References

Uses of Exponents and Logarithms

Mathematical Statistical Concepts

Primer on Return, Present Value, and Future Value

Global Investments and Exchange Rates

Web Site Information and Examples

Arbitrage Features of the Calibration Model

T-Bond Delivery Procedure and Equilibrium Pricing

Pricing interest rate options with a Binomial Interest Tree

What's on the Comapnion Website

Answers and Solutions to Select End-Of-Chapter Problems

Glossary

Index

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